In this paper we investigate the behaviour of a number of methods for estimating the co-integration rank in VAR systems characterized by heteroskedastic innovation processes. In particular we compare the efficacy of the most widely used information criteria, such as AIC and BIC, with the...

In this paper we investigate the behaviour of a number of methods for estimating the co-integration rank in VAR systems characterized by heteroskedastic innovation processes. In particular we compare the efficacy of the most widely used information criteria, such as AIC and BIC, with the...

It is well known that the standard i.i.d. bootstrap of the mean is inconsistent in a location model with infinite variance (?-stable) innovations. This occurs because the bootstrap distribution of a normalised sum of infinite variance random variables tends to a random distribution. Consistent...